Quantifying Cross-Correlations between Economic Policy Uncertainty and Bitcoin Market: Evidence from Multifractal Analysis

Junjun Ma, Tingting Wang, Ruwei Zhao and Dehua Shen

Discrete Dynamics in Nature and Society, 2022, vol. 2022, 1-9

Abstract: We investigate the dynamic correlation between the Bitcoin price (BTC) and the U.S. economic policy uncertainty index (USEPU) from the perspective of multifractality. Utilizing the multifractal detrended cross-correlation analysis (MF-DCCA), we confirm a long-range cross-correlation between BTC and USEPU. Moreover, the empirical results of MF-DCCA show that the power-law properties and multifractal characteristics between BTC and USEPU are significant. We further examine the long-range dependency of cross-correlation between BTC and USEPU series via the Hurst exponent test and confirm the durable cross-correlation. Finally, we introduce another multifractal indicator and examine the extent of multifractality among time series. The empirical results indicate that the BTC series, USEPU series, and the cross-correlation of BTC-USEPU present apparent multifractality, where BTC shows the strongest degree of multifractality.

Date: 2022
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/ddns/2022/1072836.pdf (application/pdf)
http://downloads.hindawi.com/journals/ddns/2022/1072836.xml (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:1072836

DOI: 10.1155/2022/1072836

Access Statistics for this article

More articles in Discrete Dynamics in Nature and Society from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().